There are a couple of causes for this issue:
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The images you have downloaded have been corrupted, or you've downloaded corrupted files. A new download attempt needs to be initialized.
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The images are not in the right format supported by Photofun. Check the Photofun's supported file formats and then try to add them.
Additionally, make sure to run the program as Administrator, because it's possible the application lacks system access to the folder you specified. This should fix your errors.